Daytrading FTSE Futures

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dpfuller

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I'm currently papertrading the FTSE futures using IB (with LIFFE feed) and using TSIM as the front end using the simulated trading option. I am using Sierra to chart 3 minute price bars and also to show volume.

My strategy is simple but needs some fine tuning particularly around stoplosses and also profit target. My entry is based around whether the last price bar is bullish/bearish, eg if the last bar opened low, closed high with higher than average volume I would go long. Over the last few days this has been very accurate. Although on each trade I only make a few points profit, exiting when the price looks like it is going to reverse.

I also take account of support/resistance levels before entering/exiting a trade.

This system would not work if i was spreadbetting as the spread would wipe out any gains. Using IB, the r/t cost is £3.40, so if you made 3 points trading a single contract, your profit would be £26.60.

Is this approach too simplistic and is anyone else trading this way or using a variation of this strategy?

Does anyone use TSIM with IB to place live trades, the front end is excellent and in my opinion far superior to Trader Workstation.

Good luck all.
 
Hi,

The only way to tell is to actually trade. A simulator doesn't give bad fills etc so your results will certainly be less than through the simulator.

Of course emotions are also different with the real thing.

As they say 'Suck it and see', though personally I think FTSE is a very very difficult future to day trade due to a complete lack of volatility.

JonnyT
 
Well, you only need 3 or 4 trades per day to get by, but you will get caught out by sudden moves and then have that little bit of profit taken away from you. Try aiming for 10 points per trade. You can get by on one trade a day then.

Seems like you are getting spooked on reverses. That's normal. The markets are designed to work like that. Two steps forward, one step back.

Nothing wrong with what you are doing. My trades last from 2/3 secs up to 3/4 hours.

The problem you are going to get is with the volume. and how it is reported. ie, I'ts not considered reliable. We have had a discussion about this a few months back. The main contributors to that were Stevet and johnny rotten I think. You will have to look up those posts.

But if it is working for you so far on your settings then stick with it, and carry on scalping. Once you have a bit of profit, go for the longer trade until you have enough to trade 2 contracts, and by reverting back to the scalping method you will not have to stay in the market for the same length of time to get your day's money.
 
thanks Options

You're right I am getting spooked on reversals, currently looking at a way to overcome this. Also playing around with trailing stops to get more out of each position.
 
Don't rely on trailing stops being filled as you expect, they can spike past and then fill you, so that 5 stop can become 35 in a couple of seconds.

JT's right in his assumption of the ftse future market now. 5 years ago it was a lot more enjoyable to trade. Personally I would only trade the first couple of hours, but now I favour €/$ with fxcm as these are the only company to guarantee a stop fill. even if the market opens 80 past from your stop. Your back to the 4 pip spread though as against JT's Globex spread of 1 to 2 pip (I think), I just find it a more relaxing market to trade. Once a trend is in place it tends to last longer.
 
If you can afford to trade it, try the Dax.

Good liquidity (when you consider the contract size €25 per whole point), and very low transaction costs with LOTS of volatility.
It is still a good "punters" index, and hasn't suffered like the FTSE, Estox, Sp has. Have heard that it is getting popular in the US because of the stickyness of the SP. It often even leads the SP (like yesterday).....now thats unusual.

Re: getting stopped on trailing stops, the market always seems to have one last dip to shake out the early bulls, before clearing the air for the main move. I try to look for this shakeout in terms of a Telegraph pole bar with vol on the return to the top (open and close within 20% of the top in a bull move), or just a spike a 3rd time which fails.
 
Hi DT

I've been looking at the DAX this morning using Sierra through IB and agree it looks abetter index to trade. Lots of opportunities for a few points here and there.

What is your approach to it if you don't mind me asking? Are there any useful websites you could recommend, particularly one that gives OHLC for the futures so I can calculate pivot points.

thanks

Dave
 
Back to the subject of TSIM - I tried it live on ES and it was OK for market orders. If you base your tests on buying the Ask and Selling the Bid you won't be far out.
Limits were a different story - on the simulator you get filled as soon as the Last price touches your limit price whereas in reality you're in the queue and often miss getting filled.
IMO TWS is just as easy as anything else for once you get used to it...
 
http://www.mandirect.com/trading-tools/quotes_body.cfm

has very good data and delayed charts, when you set to high density and large.

My Technique briefly:

Overall market analysis on daily/60min/30 min as to whether today might be rangebound or breakout mode using visual patterns, inside bars, narrowest range for X number of days etc.

If market gaps down from prior days range and fills it and moves on, will tend to trade as a trend day to the close, and vice versa

Entries on trend day:

Simple higher highs/lower lows using tick chart and volume to show up flags, basic tape reading .

"Grail" type retracement in a trend entries (ie retrace to 20 ema with ADX >30) on 1,5,30,60 min charts.


On a rangebound day:

Look for extreme moves to end of range where a volume spike combined with one or more of telegraph pole bars on 5 min chart, divergence on 3 min/1 min chart, 3 consecutive spike highs/lows indicating exhaustion.

Also, I only trade between 8.15 and 10.30 and 3pm and 5pm

Outside those times it's harder to make winning trades, it being quiet most of the time

Hope that helps :)
 
Thanks Mark

the latest TSIM version I've downloaded lets to add in a delay for limit orders to more closely match the real world but I do take your point.

My plan is to test my strategy using tsim and then go live using Trader WS, I'm not comfortable with the idea of going through a third party front end.
 
I trade the ftse quite often, although concentrate largely on the Liffe stir markets. The software I use allows you to pull up a ladder, called a locals ticket which you can 1 click trade to place buy/sell and stop as well as pull orders very effectively. I generally look at the FTSE/Dax/Dow and S&P futures divergence to make descisions. It is possible to set up ladders that automatically show you depth and allow you to trade the inter-index spreads between, for exmple, FTSE and Dax, this is often a better idea as the spread is a safer bet and the volatility more often allows you to get out for a profit over a set number of trades.
This type of trading is not possible when you are using non market bid/offer spreads such as those from spreadbetters.

Good Trading
 
Would appreciate any advice on Mini Dow Futures and Direct Access Brokers. Currently using spreadbets on Dow cash- with 5 point spread . Also not always filled at the price you want - sometimes long delay .
 
I think I can help you with the stops and targets. Neither stocks nor futures trend in a straight line when they swing. They zig zag. On an upswing you see a series of higher highs. The reverse, of course, on a downswing. Using Bollinger Bands, which are really an implementation of standard statistical Analysis of Variance (ANOVA), you get a simple moving average together with upper and lower limit lines 2 sigmas (standard deviations) away from the mean. If you set a "stop in" point one tick above the latest peak, and the entry point is above the ANOVA mean, you've got a long trade that might go somewhere. Your stop is one tick below the most recent reaction low. Your target is the upper 2 sigma line. Reverse these values for a short position.

In case you're not familiar with the mathematical basis, Analysis of Variance measures a range of values for a given lookback period. 18 bars is arbitrary but it's also a good median value for the dominant cycle in most markets. Using John Ehlers' Hilbert Transform algorithm, for example, you can plot Bollinger Bands with the dominant cycle period as the lookback for each bar. I have an Excel spreadsheet for this. Forgive me if I'm telling you things you already know.

Much better, I think, to trade the E-mini S&P for its higher beta and volume.

With every good wish,
valleyvintner
 
Truth to tell, I didn't notice that! Notwithstanding the ten year interval, the information is as valid now as it was then. There's rather more to it, of course, but I was addressing the matter of stops and targets. We still don't see much in the way of filtering in the systems described here, and without filtering we're going to be wrong half the time.
 
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